Daniel Borup

Aarhus University, CREATES, DFI

Assistant Professor

School of Business and Social Sciences

Fuglesangs Alle 4

Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 14,488

SSRN RANKINGS

Top 14,488

in Total Papers Downloads

6,399

SSRN CITATIONS
Rank 23,642

SSRN RANKINGS

Top 23,642

in Total Papers Citations

46

CROSSREF CITATIONS

6

Scholarly Papers (11)

1.

Mixed-Frequency Machine Learning: Nowcasting and Backcasting Weekly Initial Claims with Daily Internet Search-Volume Data

International Journal of Forecasting, Forthcoming
Number of pages: 54 Posted: 13 Sep 2020 Last Revised: 13 Jun 2022
Aarhus University, CREATES, DFI, Research Department, Federal Reserve Bank of Atlanta and Aarhus UniversityAarhus University - CREATES
Downloads 1,042 (40,591)
Citation 6

Abstract:

Loading...

Mixed-frequency data, LASSO, Elastic net, Neural network, Unemployment insurance, Internet search, Variable importance

2.

Predicting Bond Return Predictability

Accepted for publication in Management Science
Number of pages: 114 Posted: 30 Jan 2020 Last Revised: 06 May 2022
Aarhus University, CREATES, DFI, Aarhus University, DFI, Aarhus University, CREATES and Northwestern University - Kellogg School of Management
Downloads 962 (45,474)
Citation 4

Abstract:

Loading...

bond excess returns, forecasting, state-dependencies, multivariate test, equal conditional predictive ability

3.

In Search of a Job: Forecasting Employment Growth Using Google Trends

Journal of Business & Economic Statistics 40.1 (2022): 186-200.
Number of pages: 36 Posted: 22 Jul 2019 Last Revised: 31 Jul 2022
Aarhus University, CREATES, DFI and Aarhus UniversityAarhus University - CREATES
Downloads 866 (52,586)
Citation 16

Abstract:

Loading...

Google Trends, forecast comparison, US employment growth, targeting predictors, random forests, keyword search

4.

Quantifying Investor Narratives and Their Role during COVID-19

Number of pages: 94 Posted: 20 Dec 2020 Last Revised: 22 Dec 2022
Aarhus University, CREATES, DFI, Aarhus University - Department of Economics and Business Economics, Aarhus UniversityAarhus University - CREATESAarhus University - Department of Economics and Business Economics and Aarhus UniversityAarhus University - CREATES
Downloads 796 (58,914)
Citation 3

Abstract:

Loading...

COVID-19, textual analysis, latent Dirichlet allocation, narrative economics

5.
Downloads 669 (73,934)
Citation 1

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16
Number of pages: 54 Posted: 16 Nov 2022
Aarhus University, CREATES, DFI, Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 596 (84,427)

Abstract:

Loading...

variable importance, out-of-sample performance, Shapley value, loss function, machine learning, inflation

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16B
Number of pages: 36 Posted: 23 Feb 2024
Aarhus University, CREATES, DFI, Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 73 (600,997)
Citation 1

Abstract:

Loading...

model interpretation, Shapley value, predictor importance, loss function, machine learning, inflation

6.

Capturing Volatility Persistence: A Dynamically Complete Realized EGARCH-MIDAS Model

Quantitative Finance, Forthcoming
Number of pages: 38 Posted: 17 Nov 2017 Last Revised: 10 Jul 2019
Daniel Borup and Johan Stax Jakobsen
Aarhus University, CREATES, DFI and CREATES
Downloads 400 (138,270)
Citation 9

Abstract:

Loading...

Realized Exponential GARCH, Long Memory, GARCH-MIDAS, HAR, Realized Kernel

7.

Targeting predictors in random forest regression

International Journal of Forecasting, Forthcoming
Number of pages: 44 Posted: 28 Apr 2020 Last Revised: 19 May 2022
Aarhus University, CREATES, DFI, Aarhus University, Massachusetts Institute of Technology and Columbia University
Downloads 387 (143,510)
Citation 2

Abstract:

Loading...

Random Forests, LASSO, High-Dimensional Forecasting, Weak Predictors, Targeted Predictors

8.

Asset Pricing With Data Revisions

Journal of Financial Markets, Vol 59, Part B, 2022
Number of pages: 76 Posted: 13 Sep 2019 Last Revised: 10 Jun 2022
Aarhus University, CREATES, DFI and Aarhus UniversityAarhus University - CREATES
Downloads 386 (143,936)
Citation 5

Abstract:

Loading...

Data revisions, vintage data, consumption-based capital asset pricing model, NIPA personal consumption expenditures, ambiguity.

9.

Predictive Regressions under Arbitrary Persistence and Stock Return Predictability

Number of pages: 85 Posted: 22 Mar 2021 Last Revised: 02 Jun 2022
Aarhus University, CREATES, DFI, Aarhus University and Aarhus University
Downloads 335 (168,090)

Abstract:

Loading...

Stock return predictability, predictive regressions, persistence, panel data, factor structure

10.

Stock Market Volatility and Public Information Flow: A Non-linear Perspective

Economics Letters, Forthcoming
Number of pages: 43 Posted: 10 May 2021
CREATES, Aarhus University, CREATES, DFI and CREATES
Downloads 316 (178,818)
Citation 1

Abstract:

Loading...

News analytics, mixture-distribution hypothesis, realized GARCH, smooth transitioning, stock market volatility, GARCH-MIDAS

11.

Immunization With Consistent Term Structure Dynamics

Number of pages: 107 Posted: 27 Jul 2022 Last Revised: 22 Dec 2022
Aarhus University, CREATES, DFI, Aarhus University and Aarhus University - Department of Economics and Business Economics
Downloads 240 (236,515)

Abstract:

Loading...

Hedging, generalized duration, bond portfolio, dynamic consistency, parsimonious yield curve